Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 4 | 2 | 2 |
| Score | -3.06 | -4.38 | -5.8 |
| Market Cap (Millions USD) | 30.96 | 30.4 | 30.57 |
| Predicted Beta | 0.12 | 0.11 | 0.12 |
| Idiosyncratic Volatility | 0.76 | 0.51 | 1.1 |
Annualized return and volatility
| ADRD | |
|---|---|
| Annualized Return | 0.0577 |
| Annualized Std Dev | 0.2464 |
| Annualized Sharpe (Rf=0%) | 0.2343 |
Row
Daily Return Statistics
| ADRD | |
|---|---|
| Observations | 4381.0000 |
| NAs | 733.0000 |
| Minimum | -0.1442 |
| Quartile 1 | -0.0052 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0064 |
| Maximum | 0.2077 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0155 |
| Skewness | 0.7127 |
| Kurtosis | 26.8935 |
Downside Risk
| ADRD | |
|---|---|
| Semi Deviation | 0.0109 |
| Gain Deviation | 0.0129 |
| Loss Deviation | 0.0128 |
| Downside Deviation (MAR=210%) | 0.0152 |
| Downside Deviation (Rf=0%) | 0.0107 |
| Downside Deviation (0%) | 0.0107 |
| Maximum Drawdown | 0.6155 |
| Historical VaR (95%) | -0.0201 |
| Historical ES (95%) | -0.0361 |
| Modified VaR (95%) | -0.0135 |
| Modified ES (95%) | -0.0135 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-03-09 | 2017-11-24 | -0.6155 | 2579 | 348 | 2231 |
| 2003-01-17 | 2003-03-19 | 2003-05-12 | -0.2392 | 81 | 44 | 37 |
| 2018-01-29 | 2018-12-24 | NA | -0.2239 | 490 | 233 | NA |
| 2006-05-10 | 2006-06-13 | 2006-10-26 | -0.1448 | 121 | 24 | 97 |
| 2007-07-13 | 2007-08-16 | 2007-10-12 | -0.1310 | 66 | 25 | 41 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ADRD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.0 | 0.0 | NA |
| 2003 | 0.0 | 0.0 | 0.0 | 1.1 | 0.0 | -4.6 | 0.0 | 0.0 | -0.5 | 0.0 | 0.8 | 0.0 | -3.2 |
| 2004 | 0.0 | 1.6 | 1.1 | 0.0 | 0.0 | -0.8 | 0.0 | 0.6 | 2.0 | 0.3 | 1.3 | 0.0 | 6.3 |
| 2005 | 1.1 | 0.2 | -0.1 | 0.0 | 0.5 | 0.1 | 1.1 | 1.4 | 0.0 | 0.1 | 1.8 | 0.0 | 6.4 |
| 2006 | 0.0 | 0.9 | 0.0 | 0.1 | 0.6 | 0.0 | -1.0 | 0.7 | 0.0 | -0.1 | -0.5 | 0.0 | 0.7 |
| 2007 | 1.0 | -1.3 | 0.0 | 0.1 | 0.8 | 0.0 | -0.1 | 0.0 | 1.3 | -3.4 | 0.0 | 0.0 | -1.6 |
| 2008 | 2.1 | 0.0 | 3.3 | 0.4 | 0.0 | -1.3 | -1.3 | 0.0 | 0.5 | 0.0 | -8.8 | 0.0 | -5.5 |
| 2009 | 0.0 | 0.0 | 2.9 | 0.9 | 3.4 | 2.1 | 0.0 | -2.3 | -2.6 | 0.0 | 2.5 | 0.0 | 6.8 |
| 2010 | 1.9 | 0.4 | 1.5 | 0.0 | -2.2 | 0.9 | 0.0 | 3.0 | 1.2 | -0.9 | 2.9 | 0.0 | 9.0 |
| 2011 | 2.4 | -0.9 | 0.9 | 0.0 | -1.7 | 0.6 | -1.7 | -0.5 | 0.0 | -3.1 | -0.6 | 0.0 | -4.6 |
| 2012 | 1.7 | 1.2 | 0.0 | 0.7 | -2.1 | 0.0 | -0.1 | 0.0 | 1.1 | 1.3 | 0.0 | 0.0 | 3.7 |
| 2013 | 1.1 | -0.8 | -0.4 | -0.4 | 0.0 | 0.8 | 1.3 | 0.0 | 0.0 | -0.7 | 0.0 | 0.0 | 0.9 |
| 2014 | 0.0 | 0.0 | 0.1 | 0.5 | 0.0 | 1.1 | -0.4 | 0.0 | -1.2 | 0.0 | -0.2 | 0.0 | -0.2 |
| 2015 | 0.0 | 0.0 | 0.8 | 0.6 | -0.7 | 0.3 | 0.0 | -3.2 | 0.0 | 0.0 | 0.5 | 0.0 | -1.7 |
| 2016 | -0.9 | 2.1 | -1.4 | 0.0 | 0.2 | 0.5 | -1.1 | 0.3 | 0.0 | -0.3 | -0.2 | 0.0 | -0.8 |
| 2017 | 0.3 | 1.1 | 0.0 | 0.3 | 0.5 | 0.0 | 0.8 | 0.1 | 0.0 | 0.3 | -0.1 | 0.0 | 3.4 |
| 2018 | 0.1 | -1.5 | 0.0 | -0.5 | 0.8 | 0.0 | -0.6 | 0.0 | 0.4 | 1.2 | 0.0 | 0.0 | -0.1 |
| 2019 | -0.3 | -0.3 | 1.2 | -0.9 | 0.0 | 0.4 | -1.0 | 0.0 | -1.4 | 0.7 | 0.0 | -0.1 | -1.8 |
Row
Rolling Performance Chart
Snail Trail Chart
